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H index
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Citations
Feike C. Drost : Citation Profile
Universiteit van Tilburg | RESEARCH PRODUCTION: 16 Articles 53 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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37 years (1987 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Feike C. Drost. | Is cited by:
| Cites to:
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Main data
Where Feike C. Drost has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Statistics & Probability Letters | 2 |
| Econometric Theory | 2 |
| Journal of Business & Economic Statistics | 2 |
Recent works citing Feike C. Drost (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Classification of Extremal Dependence in Financial Markets via Bootstrap Inference. (2025). Hui, Qian ; Wang, Tiandong ; Resnick, Sidney I. In: Papers. RePEc:arx:papers:2506.04656. Full description at Econpapers || Download paper |
| 2025 | Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2536. Full description at Econpapers || Download paper |
| 2025 | Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2514. Full description at Econpapers || Download paper |
| 2024 | Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962. Full description at Econpapers || Download paper |
| 2024 | Semiparametrically optimal cointegration test. (2024). Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001611. Full description at Econpapers || Download paper |
| 2025 | Give me a break: What does the equity premium compensate for?. (2025). Perras, Patrizia ; Wagner, Niklas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443124001690. Full description at Econpapers || Download paper |
| 2025 | Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236. Full description at Econpapers || Download paper |
| 2026 | Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters. (2026). Fujimori, Kou ; Tsukuda, Koji. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002534. Full description at Econpapers || Download paper |
| 2025 | Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications. (2025). Escobar Anel, Marcos ; Xu, KE ; Li, Fuyu ; Ferrando, Sebastian ; Escobar-Anel, Marcos. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:1:p:6-:d:1589235. Full description at Econpapers || Download paper |
| 2024 | Finite moments testing in a general class of nonlinear time series models. (2024). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:121193. Full description at Econpapers || Download paper |
| 2024 | The volatility connectedness between fertilizers and rice price: evidences from the global major rice-producing countries. (2024). Uçak, Harun ; ARI, Yakup ; Ullah, Irfan ; Uak, Harun. In: Asia-Pacific Journal of Regional Science. RePEc:spr:apjors:v:8:y:2024:i:1:d:10.1007_s41685-023-00317-3. Full description at Econpapers || Download paper |
| 2025 | The effects of aggregation and sampling on periodic INGARCH processes. (2025). Zhu, Fukang ; Su, Bing. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:88:y:2025:i:6:d:10.1007_s00184-025-00995-3. Full description at Econpapers || Download paper |
| 2026 | The effects of aggregation and sampling on periodic INGARCH processes. (2026). Zhu, Fukang ; Su, Bing. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:89:y:2026:i:2:d:10.1007_s00184-025-00995-3. Full description at Econpapers || Download paper |
| 2024 | On strongly dependent zero-inflated INAR(1) processes. (2024). Beran, Jan ; Droullier, Frieder. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01496-z. Full description at Econpapers || Download paper |
| 2024 | Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082. Full description at Econpapers || Download paper |
| 2024 | Hybrid rank-based panel unit root tests. (2024). Zhou, BO ; van den Akker, Ramon. In: Other publications TiSEM. RePEc:tiu:tiutis:841ed2b3-9496-4b7e-9605-e6a323f1752f. Full description at Econpapers || Download paper |
Works by Feike C. Drost:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing.(2019) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1998 | Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 32 |
| 1994 | Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 1994 | Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2004 | Semiparametric Duration Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 52 |
| 2001 | Semiparametric Duration Models.(2001) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2001 | Semiparametric Duration Models.(2001) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2004 | Semiparametric duration models.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2009 | Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 20 |
| 2008 | Local asymptotic normality and efficient estimation for INAR(p) models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 2006 | Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2006 | Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2016 | Asymptotic Inference for Jump Diffusions with State-Dependent Intensity In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 2001 | A Jump‐diffusion Model for Exchange Rates in a Target Zone In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 21 |
| 1997 | A Jump-Diffusion Model for Exchange-Rates in a Target Zone.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 1990 | THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 1 |
| 2015 | ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES In: Econometric Theory. [Full Text][Citation analysis] | article | 5 |
| 2024 | ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2007 | The Impact of Overnight Periods on Option Pricing In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 15 |
| 2005 | The Impact of Overnight Periods on Option Pricing.(2005) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2005 | The Impact of Overnight Periods on Option Pricing.(2005) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2007 | The impact of overnight periods on option pricing.(2007) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 1993 | Temporal Aggregation of GARCH Processes. In: Econometrica. [Full Text][Citation analysis] | article | 395 |
| 1990 | TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1992 | Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1990 | Temporal aggregation of GARCH processes.(1990) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1992 | Temporal aggregation of GARCH processes.(1992) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1993 | Temporal aggregation of GARCH processes.(1993) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1990 | Temporal aggregation of GARCH processes.(1990) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1992 | Temporal aggregation of GARCH processes.(1992) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 1994 | Temporal aggregation of GARCH processes.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 395 | paper | |
| 2000 | Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 4 |
| 1996 | Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 125 |
| 1994 | Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 125 | paper | |
| 1994 | Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 125 | paper | |
| 1996 | Closing the GARCH gap : Continuous time GARCH modeling.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 125 | paper | |
| 1997 | Efficient estimation in semiparametric GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 80 |
| 1996 | Efficient Estimation in Semiparametric GARCH Models.(1996) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | paper | |
| 1996 | Efficient Estimation in Semiparametric GARCH Models.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | paper | |
| 1997 | Efficient estimation in semiparametric GARCH models.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | paper | |
| 1999 | Efficiency comparisons of maximum-likelihood-based estimators in GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2016 | The power envelope of panel unit root tests in case stationary alternatives offset explosive ones In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2008 | Note on integer-valued bilinear time series models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 9 |
| 2007 | Note on Integer-Valued Bilinear Time Series Models.(2007) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2007 | Note on Integer-Valued Bilinear Time Series Models.(2007) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2008 | Note on integer-valued bilinear time series models.(2008) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 1993 | A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 3 |
| 1993 | A note on Robinsons test of independence.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1993 | A note on Robinsons test of independence.(1993) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1994 | Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 83 |
| 1994 | Adaptive estimation in time-series models.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 1994 | Adaptive estimation in time-series models.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 1997 | Adaptive estimation in time-series models.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 1989 | Asymptotic Error Bounds for Power Approximations to Multinomial Tests of Fit In: Springer Books. [Citation analysis] | chapter | 0 |
| 1987 | A Limit Theorem for Some Modified Chi-Square Statistics when the Number of Classes Increases In: Springer Books. [Citation analysis] | chapter | 0 |
| 2006 | An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | An Asymptotic Analysis of Nearly Unstable inar (1) Models.(2006) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) In: Discussion Paper. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23).(2008) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | Asymptotically UMP Panel Unit Root Tests In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Asymptotically UMP Panel Unit Root Tests.(2013) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1997 | Exchange rate target zones : A new approach In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 1997 | Exchange rate target zones : A new approach.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1988 | How to define UMVU In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 1988 | How to define UMVU.(1988) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | The asymptotic structure of nearly unstable non negative integer-valued AR(1) models In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 9 |
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